Continuous-time Stochastic Control and Optimization with Financial Applications - Stochastic Modelling and Applied Probability 61 (Paperback)
  • Continuous-time Stochastic Control and Optimization with Financial Applications - Stochastic Modelling and Applied Probability 61 (Paperback)
zoom

Continuous-time Stochastic Control and Optimization with Financial Applications - Stochastic Modelling and Applied Probability 61 (Paperback)

(author)
£36.99
Paperback 232 Pages / Published: 19/10/2010
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control.

This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc.

This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783642100444
Number of pages: 232
Weight: 391 g
Dimensions: 235 x 155 x 13 mm
Edition: Softcover reprint of hardcover 1st ed. 2009

You may also be interested in...

How to Lie with Statistics
Added to basket
Statistics
Added to basket
£29.50
Paperback
Quantitative Methods
Added to basket
The Improbability Principle
Added to basket
Psychology Statistics For Dummies
Added to basket
New Cambridge Statistical Tables
Added to basket
Probability and Random Processes
Added to basket
Risk
Added to basket
£12.99
Paperback
Choosing and Using Statistics
Added to basket
Probability Demystified 2/E
Added to basket
Essentials of Statistical Inference
Added to basket

Reviews

Please sign in to write a review

Your review has been submitted successfully.